Lectures related to Brownian bridge

Martingales and Brownian Motion: Global Behavior and Zero Set Length

Explores the behavior of Brownian motion and its zero set length.

Explores the generation of multivariate Gaussian distributions and the challenges of factorizing covariance matrices.

Gaussian Random Vectors: Conditional Generation

Explores generating Gaussian random vectors with specific components based on observed values and explains the concept of positive definite covariance functions in Gaussian processes.

Fourier Transform and Spectral Densities

Covers the Fourier transform, spectral densities, Wiener-Khinchin theorem, and stochastic processes.

Stochastic Differential Equations

Covers Stochastic Differential Equations, Wiener increment, Ito's lemma, and white noise integration in financial modeling.